|edoc-Server der Humboldt-Universität zu Berlin|
Georg Ch. Pflug, University of Vienna|
Andrzej Ruszczynski, Rutgers University
|Title:||Risk measures for income streams|
|Date of Acceptance:||04.10.2001|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. This measure is formulated as the optimal net present value of a stream of adaptively planned commitments for consumption. The calculation of the new measure is done by solving a stochastic dynamic linear optimization problem, which, in case of a finite filtration, reduces to a simple deterministic linear program. We show properties of the new measure by exploiting the convexity and duality structure of the stochastic dynamic linear problem. The measure depends on the full distribution of the income process (not only on its marginal distribution) as well as on the filtration, which is interpreted as the available information about the future.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jun 2011: